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The June Phenomenon and the Changing Month of the Year Effect

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  • Anthony Yanxiang Gu

Abstract

Mean June return of the U.S. stock market is significantly negative since 2001 and the phenomenon is more apparent for large stocks. June return is negatively related to returns of all the other months and the coefficients are all statistically significant except for January and August, and June return is significantly negatively related to change in short interest. Meanwhile, April is the best month for the DJIA and S&P 500 and October is the best for the NASDAQ. The purpose of this study is to reveal the worst month of the U.S. stock markets in the new century and the dynamics of the month-of-the-year anomaly.

Suggested Citation

  • Anthony Yanxiang Gu, 2015. "The June Phenomenon and the Changing Month of the Year Effect," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-1, August.
    • Handle: RePEc:jfr:afr111:v:4:y:2015:i:3:p:1
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    References listed on IDEAS

    as
    1. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
    2. Chang, Eric C. & Pinegar, J. Michael, 1990. "Stock Market Seasonals and Prespecified Multifactor Pricing Relations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 517-533, December.
    3. Ling T. He & Shao C. He, 2011. "Has the November Effect Replaced the January Effect in Stock Markets?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 32, pages 481-486, October.
    4. Chang, Eric C. & Pinegar, J. Michael, 1989. "Seasonal Fluctuations in Industrial Production and Stock Market Seasonals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 59-74, March.
    5. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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